[Quantproject-developers] QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging TesterForPairsTradingTestingPositions.cs, 1.1, 1.2

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging
In directory sc8-pr-cvs16.sourceforge.net:/tmp/cvs-serv17050/b7_Scripts/WalkForwardTesting/PairsTrading/Logging

Modified Files:
	TesterForPairsTradingTestingPositions.cs 
Log Message:
- first bug fixed: now each of the two positions' weight is given the proper sign
- second bug fixed: the cash to start the second position is always positive, now (sometimes it happened to be negative, in the previous revision)

Index: TesterForPairsTradingTestingPositions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b7_Scripts/WalkForwardTesting/PairsTrading/Logging/TesterForPairsTradingTestingPositions.cs,v
retrieving revision 1.1
retrieving revision 1.2
diff -C2 -d -r1.1 -r1.2
*** TesterForPairsTradingTestingPositions.cs	13 Mar 2008 19:33:14 -0000	1.1
--- TesterForPairsTradingTestingPositions.cs	19 Mar 2008 23:31:02 -0000	1.2
***************
*** 112,124 ****
  				benchmark , cashToStart , maxRunningHours );
  
! 			simpleStrategy.Account = endOfDayStrategyBackTester.Account;
  
  			endOfDayStrategyBackTester.Run();
  			return endOfDayStrategyBackTester.AccountReport;
  		}
  		private WeightedPositions getWeightedPositions(
  			WeightedPosition weightedPosition )
  		{
! 			double[] weights = { 1 };
  			string[] tickers = { weightedPosition.Ticker };
  			WeightedPositions weightedPositions =
--- 112,134 ----
  				benchmark , cashToStart , maxRunningHours );
  
! //			simpleStrategy.Account = endOfDayStrategyBackTester.Account;
  
  			endOfDayStrategyBackTester.Run();
  			return endOfDayStrategyBackTester.AccountReport;
  		}
+ 		private double getWeightedPositions_getWeight(
+ 			WeightedPosition weightedPosition )
+ 		{
+ 			double weight = 1;
+ 			if ( weightedPosition.IsShort )
+ 				// the current WeightedPosition is short in the couple correlation
+ 				weight = -1;
+ 			return weight;
+ 		}
  		private WeightedPositions getWeightedPositions(
  			WeightedPosition weightedPosition )
  		{
! //			double[] weights = { 1 };
! 			double[] weights = { this.getWeightedPositions_getWeight( weightedPosition ) };
  			string[] tickers = { weightedPosition.Ticker };
  			WeightedPositions weightedPositions =
***************
*** 159,164 ****
  				historicalQuoteProvider ,
  				benchmark ,
! 				30000 * weightedPositions[ 1 ].Weight /
! 				weightedPositions[ 0 ].Weight );
  			
  			Report report =
--- 169,174 ----
  				historicalQuoteProvider ,
  				benchmark ,
! 				Math.Abs(	30000 * weightedPositions[ 1 ].Weight /
! 				weightedPositions[ 0 ].Weight ) );
  			
  			Report report =